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The aim of this thesis is to find an efficient simulation method of the Heston model of stochastic volatility to price path dependent derivatives. The volatility process in this model has an exact transition density defined as a scaled non central chi2 density. By implementing classic approaches of approximating the non central chi2 distribution, and modifying Andersen's Quadratic Exponential

Due to the Basel III regulations, Value-at-Risk (VaR) as a risk measure has become increasingly important in Europe for financial institutions. But even though it has become an important risk measure, both internally within company reporting and externally due to legislation, there is no one single way to forecast VaR that has yet proven to be superior. The aim of this paper is to examine differen

In this master thesis we investigate the predictive performance of several well-known Value at Risk (VaR) estimation methods, given a specific company setting. The thesis is conducted at a Swedish financial institution that wants to be able to measure foreign exchange (FX) risk induced by cross-currency transactions carried out by the company. The goal of the thesis is to provide empirical evidenc

Crude oil is the most traded energy commodity in the world, and its price has a large impact on the everyday life of billions. Given the volatility of crude oil prices and its enormous effects on economies worldwide, there has been a growing demand for risk quantification and risk management for the market participants. The measurement known as Value-at-Risk (VaR) has become the industry standard

Twin studies are widely used to estimate heritability of traits and typically rely on knowing the zygosity of twin pairs in order to determine variation attributable to genetics. Most twin studies are conducted in high resource settings. Large scale household survey data, such as the Demographic and Health Surveys, collect various biomarkers for children under five years old in low- and middle-inc

In this paper we derive a very useful formula for the stochastic representation of the product of a singular Wishart matrix with a normal vector. Using this result, the expressions of the density function as well as of the characteristic function are established. Moreover, the derived stochastic representation is used to generate random samples from product which leads to a considerable improvemen

Markov Regime-Switching GARCH (MRS-GARCH) models have been gaining popularity due to their ability to account for shifts volatility regimes that tend to characterize returns series. Previous empirical studies have shown that this capacity to capture the volatility dynamics leads to a superior forecasting power of the MRS models. We investigate the performance of these models in quantifying and man

The lactate dehydrogenase (LDH) activity and isoform distribution of LDH were investigated in tissue samples from the rat portal vein, aorta and urinary bladder. In addition, samples were obtained from hypertrophic urinary bladder. The total LDH activity per unit smooth muscle volume was higher in the urinary bladder compared to that in portal vein and aorta. Five LDH isoforms, reflecting differen

We extend the method of rescaled Ward identities of Ameur, Kang, and Makarov to study the distribution of eigenvalues close to a bulk singularity, i.e., a point in the interior of the droplet where the density of the classical equilibrium measure vanishes. We prove results to the effect that a certain “dominant part” of the Taylor expansion determines the microscopic properties near a bulk2 singul